# Blog Archives

## Calibration of p-value under variable selection: an example

November 14, 2013
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Very often people report p-values for linear regression estimates after performing variable selection step. Here is a simple simulation that shows that such a procedure might lead to wrong calibration of such tests.Consider a simple data generating pro...

## Cont model – Part II

October 28, 2013
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In my last post I have investigated properties of Cont model (you can download the paper here). Today I would like to show how we can use simulations to further simplify its analysis.First let us start with the observation that the model does not reall...

## Cont model back after a year

October 16, 2013
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During ESSA2013 conference I had a discussion about Cont model I have commented a year ago.In original paper Cont highlights that his model produces distribution of returns characterized by positive excess kurtosis. In this post I want to investig...

## Visualizing optimization process

September 8, 2013
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One of the approaches to graph drawing is application of so called force-directed algorithms. In its simplest form the idea is to layout the nodes on plane so that all edges in the graph have approximately equal length. This problem has very intuitive ...

## Genetic drift simulation

August 13, 2013
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While preparing for the new teaching semester I have created an implementation of NetLogo GenDrift P local in GNU R.The model works as follows. Initially a square grid having side size is randomly populated with n types of agen...

## Testing function agruments in GNU R

June 28, 2013
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Recently I have read a nice post on ensuring that proper arguments are passed to a function using GNU R class system. However, I often need a more lightweight solution to repetitive function argument testing.The alternative idea is to test function arg...

## Regression regularization example

May 31, 2013
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Recently I needed a simple example showing when application of regularization in regression is worthwhile. Here is the code I came up with (along with basic application of parallelization of code execution). Assume you have 60 observations and 50 expla...

## Model fitting exam problem

May 20, 2013
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Recently I have run an exam where the following question had risen many problems for students (here I give its shortened formulation). You are given the data generating process y = 10x + e, where e is error term. Fit linear regression using lm, ne...

## Missing tikzDevice

April 30, 2013
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I love using tikzDevice. When preparing LaTeX documents I switched to prepare all graphs in GNU R and then port them to TeX using tikzDevice. Recently I have moved to GNU R 3.0.0 and was shocked to find that this package is no longer available on CRAN....

## Estimating continuous piecewise linear regression

April 2, 2013
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When talking about smoothing splines a simple point to start with is a continuous piecewise linear regression with fixed knots. I did not find any simple example showing how to estimate the it in GNU R so I have created a little snippet that does the j...

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